mawicks / deep-volatility-modelsLinks
Volatility models for stock prices using deep learning and mixture models.
☆16Updated 3 years ago
Alternatives and similar repositories for deep-volatility-models
Users that are interested in deep-volatility-models are comparing it to the libraries listed below
Sorting:
- Hawkes with Latency☆20Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- Random Forest-based "Correlation" measures☆15Updated 3 years ago
- ☆12Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Financial Portfolio Optimization Algorithms☆59Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- This repo is for my articles published on Medium.com☆16Updated 2 years ago
- The aim of this repository is to merge several methods into one library to allow the user to establish the dynamics followed and to make …☆12Updated 2 years ago
- ☆26Updated last year
- Quant finance scripts☆16Updated 7 months ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆17Updated last year
- Time Series Prediction of Volume in LOB☆59Updated last year
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆26Updated 3 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated this week
- ☆13Updated 2 years ago
- Based on paper Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning☆12Updated 2 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆32Updated 5 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 3 years ago
- Portfolio optimization with cvxopt☆40Updated 10 months ago
- ☆14Updated 6 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 8 months ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago